Well If your looking to try to get your dreadnaught into cc I would give it an assault cannon and ccw (flamer or storm bolter your choice) smoke launchers and extra armor. If you are looking for long ranged firepower go with a TL lascannon and missile launcher, and extra armor. Those are the builds i find most useful.

Yeah, I've kinda had the same question for my DH army, Im going to induct IG troops and a Leman Russ Tank but I still got one dred to outfit and I cant decide between and assault cannon (more attacks and you gotta love that rend ability) or a missle and TWL Cannon for that death from afar.... ah decisions.

The only honorable options left to we combatants is seppuku or semantics...which amount to the same thing really.
-Undead Bonzi

#1 is great for long range, of course. #2 & #3 are the close ranged killers, and both are rather effective at removing vehicles and heavy infantry. I prefer #3 over #2, purely for fluff reasons (the MM is very GK-like, what with the whole "burn the daemons" thing), but #2 is probably a bit more effective in game. All three, of course, get extra armor, smoke, and searchlights!